Bootstrap confidence sets under model misspecification
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- repec:hum:wpaper:sfb649dp2015-031 is not listed on IDEAS
- Demian Pouzo, 2014. "Bootstrap Consistency for Quadratic Forms of Sample Averages with Increasing Dimension," Papers 1411.2701, arXiv.org, revised Aug 2015.
- Zhilova, Mayya, 2015. "Simultaneous likelihood-based bootstrap confidence sets for a large number of models," SFB 649 Discussion Papers 2015-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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More about this item
Keywords
likelihood-based bootstrap con dence set; misspecified model; finite sample size; multiplier bootstrap; weighted bootstrap; Gaussian approximation; Pinsker's inequality;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-12-29 (Econometrics)
- NEP-ORE-2014-12-29 (Operations Research)
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